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Titlebook: Credit Risk; Measurement, Evaluat Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm Conference proceedings 2003 Physica-Verlag Heidelberg

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发表于 2025-3-21 19:46:17 | 显示全部楼层 |阅读模式
书目名称Credit Risk
副标题Measurement, Evaluat
编辑Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm
视频video
概述State-of-the-art compendium in credit risk.Presents new developments in the measurement, evaluation and management of credit risk.Includes supplementary material:
丛书名称Contributions to Economics
图书封面Titlebook: Credit Risk; Measurement, Evaluat Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm Conference proceedings 2003 Physica-Verlag Heidelberg
描述.New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk..
出版日期Conference proceedings 2003
关键词Banking; Basel II; Credit Risk; Credit Risk Management; New Basel Capital Accord; Risk Management; Value-a
版次1
doihttps://doi.org/10.1007/978-3-642-59365-9
isbn_softcover978-3-7908-0054-8
isbn_ebook978-3-642-59365-9Series ISSN 1431-1933 Series E-ISSN 2197-7178
issn_series 1431-1933
copyrightPhysica-Verlag Heidelberg 2003
The information of publication is updating

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发表于 2025-3-22 00:00:22 | 显示全部楼层
Kulturprobleme, Interessen und Perspektiven,lculations, EVT and naive estimators yield almost identical results when applied to one-day emerging estimators yield different results on actual data but differences disappear in a Monte Carlo exercises assuming t-distributed return innovations.
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https://doi.org/10.1007/978-3-658-02202-0e credit institutions the original model had to be modified and extended. It is suited for evaluating the risk structure of two portfolios with middle-class obligors and premium creditworthiness obligors, repectively.
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Systematic Risk in Homogeneous Credit Portfolios, customer’s assets and liabilities, sometimes known by the lending institute, but in any case imposed as an unobservable latent variable. In general, we can expect that correlations between the obligor’s APPs strongly influence the portfolio’s credit risk.
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